Controlling the local false discovery rate in the adaptive Lasso.

ABSTRACT: The Lasso shrinkage procedure achieved its popularity, in part, by its tendency to shrink estimated coefficients to zero, and its ability to serve as a variable selection procedure. Using data-adaptive weights, the adaptive Lasso modified the original procedure to increase the penalty terms for those variables estimated to be less important by ordinary least squares. Although this modified procedure attained the oracle properties, the resulting models tend to include a large number of "false positives" in practice. Here, we adapt the concept of local false discovery rates (lFDRs) so that it applies to the sequence, λn, of smoothing parameters for the adaptive Lasso. We define the lFDR for a given λn to be the probability that the variable added to the model by decreasing λn to λn-δ is not

SUBMITTER: Sampson JN 

PROVIDER: S-EPMC3769997 | biostudies-literature | 2013 Sep

REPOSITORIES: biostudies-literature